by Michael Dhaenens | Dec 1, 2017
Description:Does loss given default (LGD) depend on the economic cycle and if so how can it be measured? This question still concerns risk modellers and regulators as part of their comprehensive risk assessment. In 2013 GCD published a first downturn LGD study based...
by Michael Dhaenens | Nov 7, 2017
by Michael Dhaenens | Nov 3, 2017
by Nina Brumma | Oct 31, 2017
Description:This presentation has been prepared by GCD executives to present at the Task Force Provisioning of the Basel Committee. It zooms into the reasons of variability of ECL between banks. The study is citing elements from our IFRS 9 survey and includes...
by Nina Brumma | Oct 30, 2017
Description:This document has been prepared for the IIF working group on “Measuring Pit-ness in a rating system”. IIFhas provided us with 4 different pitness measures and we have calculated them on hypothetical cases, our GCD PD ODF datapool as well as on external...
